Generalized Confidence Interval for the Largest Normal Mean

In this article we consider inferences on the largest mean of k (? 2) normal population with unqual unknown variances. The coverage probability and expected length of the two confidence intervals for the largest mean are compared using Monte Carlo simulation. We found that the coverage probability of the generalized confidence interval and optimal confidence interval are close to nominal level but the expected length of generalized confidence interval is smaller than the optimal confidence interval Finally an example is provided.